and then step 5 mentions "Enter your Exchange credentials when prompted".
After adding the node, and enabling "AppInsight" from the List Resources screen, when you navigate to All Applications and click on the Microsoft Exchange application, it should launch the setup wizard (if the remote Exchange mailbox server is not already configured for WinRM remote management), which prompts for credentials and provides the "Configure Server" button to initiate the task. If a WinRM connection is available, it will simply take you to the AppInsight page for that Mailbox Server.